Asian Journal of Probability and Statistics 2020-02-23T17:49:35+00:00 Asian Journal of Probability and Statistics Open Journal Systems <p style="text-align: justify;"><strong>Asian Journal of Probability and Statistics (ISSN: 2582-0230)</strong> aims to publish high-quality papers (<a href="/index.php/AJPAS/general-guideline-for-authors">Click here for Types of paper</a>) in all areas of ‘Probability and Statistics’. By not excluding papers on the basis of novelty, this journal facilitates the research and wishes to publish papers as long as they are technically correct and scientifically motivated. The journal also encourages the submission of useful reports of negative results. This is a quality controlled, OPEN peer-reviewed, open access INTERNATIONAL journal.</p> Second Order Slope Rotatable Designs under Tri-diagonal Correlation Structure of Errors Using a Pair of Incomplete Block Designs 2020-02-23T17:49:35+00:00 B. Sulochana B. Re. Victorbabu <p>Box and Hunter [1] introduced the concept of rotatability for response surface designs. The concept of slope-rotatability was introduced by Hader and Park [2] as an analogous to rotatability property, which is an important design criterion for response surface design. Slope-rotatable design is that of which the variance of partial derivative is a function of distance from the design (d). Recently, a few measures of slope-rotatability for a given response surface design was introduced. In this paper, a new method of slope rotatability for second order response surface designs under tri-diagonal correlation structure of errors using a pair of symmetrical unequal block arrangements with two unequal block sizes is studied. Further, a study on the dependence of variance function of the second order response surface at different design points for different values of tri-diagonal correlation coefficient ρ which lies between -0.9 to 0.9 and the distance from centre (d) is suggested.</p> 2020-02-15T00:00:00+00:00 ##submission.copyrightStatement## Time Series Analysis of Stock Market Volatility in Pakistan 2020-02-23T17:49:34+00:00 Tabassam Rashid Aisha Ismail Kashif Rashid <p>The stock market in an emerging country like Pakistan has been volatile from the earliest times. This paper studies the volatility of Pakistan Stock Exchange (PSX) (using Karachi Stock Exchange 100 Index (KSE-100) as a proxy) through the application of Generalized Autoregressive Conditional Heteroscedasticity (GARCH) family models.</p> <p>The sample period consists of 4831 daily observations for the 19 year trading period (from 2000 to 2019). Symmetric GARCH (2, 1), asymmetric EGARCH (1, 1), GJR-GARCH (1, 1) and APARCH (1, 1) models were used under Gaussian distributional assumptions. The results validate the empirical findings of previous studies conducted in Pakistan that log returns of KSE-100 Index are characterized by volatility clustering, time-variability, leptokurtic distribution with dominant ARCH and GARCH effects. An interesting feature of Pakistan Stock Exchange revealed by asymmetric models (used in the study) is that PSX is more volatile to good news than bad news. Moreover EGARCH (1, 1) outperforms all other models of the study on the basis of AIC/BIC criterion. However the comparison of correlations of variances predicted by three asymmetric models reveal that correlations among them are very high, with minimum correlation being 98%. This essentially means that all three asymmetric models provide a good fit to PSX.</p> 2020-02-15T00:00:00+00:00 ##submission.copyrightStatement##